The article develops a model to assess credit risk in portfolios, considering the likelihood of default, loss given default, and exposure at default. The study shows that when these factors are stochastically dependent, the risk of a credit portfolio increases significantly. Estimating risk separately can lead to underestimating the true risk. The research also highlights that the relative increase in risk during downturns depends on asset correlations, with low correlations potentially leading to underestimation of capital requirements. These findings have important implications for banks and regulators in determining minimum capital requirements.